I have been playing Mulaka lately and I couldn't help but think how much more I would enjoy the game if playable character was woman.
So...
I'm looking for 3D game, with female protagonist, preferably RPG or platformer or nice indie
I already have A Hat in Time, Mages of Mystralia & Shadwen.
Preferably playable with controller, so I can practice my usage with it.

The tomb raider games are on sale right now.... just saying.

No one lives forever.

It's 3D. Okay it's a sneak/shooter, it's mouse-driven, but it's the most awesome game ever and the best female protagonist ever.

Else you have Portal. 3D puzzle platformer with a female protagonist, but so silent that she could be a male and you wouldn't notice.

Anima, maybe?
Bombshell is ok.
BloodRayne games.
Saints Row 2 has custom character creation.
On that note, Dark Souls and Mass Effect can also be played with a female protagonist.

^this^

3D and female protagonist is to Tomb Raider as Italian plumber on drugs to Mario...

Bit oldish for me. Will check it out.

Beyond Good and Evil

Hellblade Senua's Sacrifice

Atom RPG - Character Creation.

Ion Maiden but still In Dev.

Divinity Original Sin 1 and 2 but i assume you already have them.

Bloodrayne

I recenetly saw somebody streaming an interesting little game called "AER - Memories of Old". It's 3D (third person), has a female protagonist, and has flying around in outdoor areas (it's open world) and light platforming and puzzle solving in indoor areas. It *is* playable with a controller, and interestingly enough, there's no combat or enemies.

It looks like a nice game if you just want to explore, and you want a game that isn't stressful.

Heavy Metal FAKK 2
Oni
Dungeon Siege 1/2 (doesn't really fit, but whatever)
American McGee's Alice
Hydrophobia Prophecy

What about Neptunia series?

It has RPG elements, lots of female protagonists and native XInput (Xbox 360 and Xbox One controllers) support.

Morrowind; Oblivion; Fallout 3 & Fallout New Vegas let you create a female character.

Same for the Saints Row series.

Metroid Prime series.

You didn't mention if First Person didn't count.

METROID IS A WOMAN!?

On a more serious note, Prime is a really good game. Didn't care for the second game, though.

If you liked Shadwen, then there is Trine from the same developers, one of the playable characters is female.
There is Torchlight 1/2, I think one of the characters is female too.
In these two series different characters have different abilities.
There are female characters in Borderland games.
Then there is Mirror's Edge...

You really should just go to Steam and search for games that are tagged with "female protagonist". Who can remember everything with so many games available these days.